Macd Cci Strategy (C#)

Macd Cci Strategy

Implementation of strategy - MACD + CCI. Buy when MACD is above Signal line and CCI is below -100 (oversold). Sell when MACD is below Signal line and CCI is above 100 (overbought).

Testing indicates an average annual return of about 70%. It performs best in the stocks market.

MACD swings highlight momentum shifts; CCI helps time pullback entries in that direction. Both long and short trades are possible.

Traders who blend momentum with oscillators may like this technique. Risk control uses a percent stop.

Details

• Entry Criteria:
  • Long: MACD > Signal && CCI < CciOversold
  • Short: MACD < Signal && CCI > CciOverbought
• Long/Short: Both
• Exit Criteria: MACD cross in opposite direction
• Stops: Percent-based using StopLossPercent
• Default Values:
  • FastPeriod = 12
  • SlowPeriod = 26
  • SignalPeriod = 9
  • CciPeriod = 20
  • CciOversold = -100m
  • CciOverbought = 100m
  • StopLossPercent = 2
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame() An entry signal against an open position reverses it.
• Filters:
  • Category: Mean reversion
  • Direction: Both
  • Indicators: MACD, CCI
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Mid-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium